Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid

DOI10.1214/20-EJP513MaRDI QIDQ2201489zbMATH OpenFDO

Authors Krzysztof Bisewski, Jevgenijs Ivanovs

Publication date 29 September 2020

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.06162, https://projecteuclid.org/euclid.ejp/1600675260

zbMATH Keywords

scaling limitssupremumhigh frequencydiscretization errorsmall-time behavior

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Limit theorems in probability theory (60F99)

Abstract: For a L'evy process $X$ on a finite time interval consider the probability that it exceeds some fixed threshold $x>0$ while staying below $x$ at the points of a regular grid. We establish exact asymptotic behavior of this probability as the number of grid points tends to infinity. We assume that $X$ has a zooming-in limit, which necessarily is $1/alpha$-self-similar L'evy process with $alphain(0,2]$, and restrict to $alpha>1$. Moreover, the moments of the difference of the supremum and the maximum over the grid points are analyzed and their asymptotic behavior is derived. It is also shown that the zooming-in assumption implies certain regularity properties of the ladder process, and the decay rate of the left tail of the supremum distribution is determined.

Recommendations

• Zooming in on a Lévy process at its supremum
• Large exceedances for multidimensional Lévy processes
• Non-random overshoots of L\'evy processes
• Overshoots and undershoots of Lévy processes
• On an extension of Lévy's stochastic area process to higher dimensions
• Limit distributions for point processes of exceedances of random levels
• Investigating the Distribution of the First-Crossing Area of a Diffusion Process with Jumps Over a Threshold

Cites work

• scientific article; zbMATH DE number 1639848 (Why is no real title available?)
• scientific article; zbMATH DE number 1639859 (Why is no real title available?)
• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 1111349 (Why is no real title available?)
• scientific article; zbMATH DE number 1466110 (Why is no real title available?)
• scientific article; zbMATH DE number 3998925 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 6283558 (Why is no real title available?)
• A continuity correction for discrete barrier options
• A convolution equation and hitting probabilities of single points for processes with stationary independent increments
• Asymptotic behaviour of first passage time distributions for Lévy processes
• Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
• Connecting discrete and continuous path-dependent options
• Density in small time for Lévy processes
• Discretization error for a two-sided reflected Lévy process
• Discretization error in simulation of one-dimensional reflecting Brownian motion
• Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon
• Exact simulation of the extrema of stable processes
• Invariance principles for local times at the maximum of random walks and Lévy processes
• Multilevel Monte Carlo for exponential Lévy models
• On Lévy processes conditioned to stay positive
• On irregular functionals of SDEs and the Euler scheme
• On mixing and stability of limit theorems
• On shift Harnack inequalities for subordinate semigroups and moment estimates for Lévy processes
• On the asymptotic behavior of the density of the supremum of Lévy processes
• On the law of the supremum of Lévy processes
• Overshoots and undershoots of Lévy processes
• Passage of Lévy processes across power law boundaries at small times
• Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
• Small-time expansions for the transition distributions of Lévy processes
• Splitting at the infimum and excursions in half-lines for random walks and Lévy processes
• Stability and attraction to normality for Lévy processes at zero and at infinity
• Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
• Suprema of Lévy processes
• The asymptotic behavior of densities related to the supremum of a stable process
• VOTRE LÉVY RAMPE-T-IL?
• Zeroes of Infinitely Divisible Densities
• Zooming in on a Lévy process at its supremum

Cited in

(12)

• Lower bound for the expected supremum of fractional brownian motion using coupling
• Zooming in on a Lévy process at its supremum
• Optimal estimation of the supremum and occupation times of a self-similar Lévy process
• Lévy processes conditioned to stay in a half-space with applications to directional extremes
• On the speed of convergence of Piterbarg constants
• Geometrically convergent simulation of the extrema of Lévy processes
• A Monte Carlo algorithm for the extrema of tempered stable processes
• Fluctuation theory and exit systems for positive self-similar Markov processes
• Intermittency in the small-time behavior of Lévy processes
• How smooth can the convex hull of a Lévy path be?
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
• Discretization of the Lamperti representation of a positive self-similar Markov process

This page was built for publication: Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2201489)